Analytical approximations of local-Heston volatility model and error analysis
نویسندگان
چکیده
منابع مشابه
Local Volatility in the Heston Model: a Malliavin Calculus Approach
Within the last ten years there have been many published and unpublished contributions on how to apply Malliavin calculus in the context of mathematical finance. The purpose of this paper is on one side to give the mathematical background for the application of Malliavin calculus in the framework of the Heston stochastic volatility model, and on the other side to provide an applicable formula f...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2017
ISSN: 0960-1627
DOI: 10.1111/mafi.12154